If you have been receiving Depo on time you should not be pregnant when receiving a subsequent injection. You may have noticed, if you have ever had to receive and injection more than 7 days beyond your next injection due date, a pregnancy test is performed.
In studies looking at Depo administration in early pregnancy there have been no associations with fetal anomalies, poor fetal outcomes, or pregnancy loss. So, a woman has nothing to fear if she was to mistakenly receive Depo Provera early in a pregnancy.
It is possible though very unlikely that you would get pregnant on the shot. Although if you were pregnant and got the shot, I read on another website that its pretty much like a chemical abortion. Talk to your doctor right away!
My sisters on the depo shot and she might be pregnant, the best thing to do would be to talk to your doctor about it. It shouldn't cause an abortion, but it may cause the baby to have problems yes, although not definetly. As i said ask your doc and next time you go for your depo shot, if your unsure then tell the doc and they should do a pregnancy test.
Hope this helps :)